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Missing observations in observation-driven time series models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan - 2018
generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …
Persistent link: https://www.econbiz.de/10011794421
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012
We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...
Persistent link: https://www.econbiz.de/10010326396
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Maximum likelihood estimation of stochastic volatility models
Sandmann, Gleb; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000953379
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Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2006
Persistent link: https://www.econbiz.de/10003331376
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Parameter estimation and practical aspects of modeling stochastic volatility
Jungbacker, Borus; Koopman, Siem Jan - In: Handbook of financial time series, (pp. 313-344). 2009
Persistent link: https://www.econbiz.de/10003833957
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Pawel, Janus; Koopman, Siem Jan - 2009
Persistent link: https://www.econbiz.de/10003913191
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308